Search found 216 matches

by hafius500
Sat Nov 14, 2015 4:43 pm
Forum: Investing - Theory, News & General
Topic: Constructing a Global Capital Market-Weighted Asset Allocation ?
Replies: 15
Views: 2702

Re: Constructing a Global Capital Market-Weighted Asset Allocation ?

nisiprius wrote:
Fat-Tailed Contagion wrote:
alex_686 wrote:Fat-Tailed Contagion, What do you mean by "true proportion"?
Global market weighting.
Just to point out the obvious: there isn't a single global market in which all assets are traded freely, a market in which assets reach equilibria against each other and not against other assets of the same kind; a market in a single global currency, so that we are not all wearing currency-risk goggles, in which I see a pair of assets through dollar-colored glasses and someone else sees them through Euro-colored glasses.
Sorry , but this is nonsense.
by hafius500
Sat Nov 07, 2015 5:50 pm
Forum: Investing - Theory, News & General
Topic: Buy on Dip/Sell on Rise
Replies: 87
Views: 8437

Re: Buy on Dip/Sell on Rise

I rebalance when things drop and rebalance when they go back up. Rebalancing can decrease performance: The Telegraph - Fund managers get most of their bets wrong – but still make millions. Here's how..., Oct, 30, 2015 Mr Freeman-Shor[author of the new book 'The Art of Execution'], still working as a fund of funds manager for Old Mutual Global Investors, analysed 1,866 investments made by the managers whose funds he put his customers’ money into, who included some of the biggest names in asset management. These investments were the “best ideas” of those managers yet the research showed that just 49pc of them rose in price after the manager invested – slightly worse than a 50pc success ratio. ... Mr Freeman-Shor identified both good and bad ...
by hafius500
Sat Nov 07, 2015 4:18 pm
Forum: Investing - Theory, News & General
Topic: Buy on Dip/Sell on Rise
Replies: 87
Views: 8437

Re: Buy on Dip/Sell on Rise

Just because something has the word "time" and "market" in it does not make it "market timing". IMO. it does: "Yearly rebalancing is better than monthly rebalancing". "You don't need international securities because they will not outperform the domestic market during your accumulation and withdrawal phase." "You should invest in bonds according to your life-expectancy". "You should not time the market" (!). Unless our time horizon is unlimited all of these rules predict risks and returns over a limited time period that is precisely defined. That term has a specific meaning, and it ain't investing between A and B without any changes. Yes, "time" passes and we in...
by hafius500
Fri Nov 06, 2015 3:36 pm
Forum: Investing - Theory, News & General
Topic: Buy on Dip/Sell on Rise
Replies: 87
Views: 8437

Re: Buy on Dip/Sell on Rise

... the odds are as good as 50/50 of the next tick being either up or down. Repeating what you wrote does not make it factual. Identify one consistent choice that yields better than 50/50 odds and that will be arbitraged out very quickly. There are millions of computers and minds involved, the prospect of livesoft being a exception is frankly unworthy of further comment. This can be a misconception - in fact the more people who try and exploit these patterns, the more pronounced they tend to become ... This is part of the concern around high-frequency trading: we may see more and more high sigma events According to Philip Donald, of Bank of America Merril Lynch, the momentum reversal we saw in October should only happen once every 11,000 y...
by hafius500
Sat Oct 31, 2015 5:37 pm
Forum: Investing - Theory, News & General
Topic: Glamour stocks and value tilt
Replies: 26
Views: 3208

Re: Glamour stocks and value tilt

Arnott uses glamour stocks (twitter, Facebook, Priceline) to suggest that cap-weighters are throwing money away on overpriced shares. I guess this is the 'Noisy-Markets-Hypothesis' (use the forum search or google) , which was coined by Jeremy Siegel (?). Several articles published in academic journals concluded this hyothesis is mathematically false unless you make several additional assumptions. The argument is that portfolios that are not cap-weighted also overweight (small stocks, large stocks, value stocks or growth) securities, when they are overvalued. If the mispricings (of large, small, value, growth, etc. stocks,) are random, no strategy can save you. : One reason I like RAFI methodology more than a simple cheap value tilt is that...
by hafius500
Sat Oct 31, 2015 2:24 pm
Forum: Investing - Theory, News & General
Topic: SPIVA new European Scorecard
Replies: 7
Views: 1103

Re: SPIVA new European Scorecard

1) According to this paper 88 % (GBP) and 97 % (Euro) of active global funds underperformed the index over ten years. John Bogle recently predicted that foreign stocks won't outperform US stocks in the future. Vanguard USA calculated the "optimal" mix of domestic and foreign stocks. Will Vanguard and Bogle be better forecasters than the fund managers? To find out, we would have to compare the performance of these portfolios to the performance of the global index (even if one of these portfolios wouldn't hold any foreign stocks). I recall the quoted Vanguard papers didn't do it and it's a common practice here to compare a global portfolio to a domestic index. Therefore, I doubt it will happen. 2)IIRC, Nisiprius seemed to suggest th...
by hafius500
Fri Oct 30, 2015 4:53 am
Forum: Personal Investments
Topic: Precious metals mining stocks
Replies: 30
Views: 4753

Re: Precious metals mining stocks

Sammy_M wrote:See http://www.efficientfrontier.com/ef/197/preci197.htm
William Bernstein wrote:Conclusions

While the long term return of precious metal bullion is close to the risk free rate the long term return for precious metal equity appears to be similar to that of common stock.
...
In the recent Morningstar interview William Bernstein said:
That brings up another subject about precious-metals equity that you have to understand, which is that over the long term, its return is very low--probably no more than 1% or 2%, real. And that's probably all from the dividend. The reason why it's so expensive and has such a low return and has such a low dividend yield is simply because ...
Is this a contradiction or do I misunderstand something?
by hafius500
Thu Oct 29, 2015 3:43 pm
Forum: Personal Investments
Topic: Precious metals mining stocks
Replies: 30
Views: 4753

Re: Precious metals mining stocks

Nisiprius wrote:Why, exactly, do you think companies in the very narrow field of precious metals mining [...] are worth more than the market thinks they are?
I don't think he said it.

IIRC, he said precious-metal equities did underperform the market (implying that that will underperform in the future) because investors recognize their diversifying properties and make them overvalued most of the time.

I guess he said you should buy these stocks when "the market" does not want these diversification benefits and that you should sell these stocks when the "the market" likes them.
by hafius500
Sat Oct 24, 2015 6:48 pm
Forum: Non-US Investing
Topic: About to invest in emerging markets
Replies: 22
Views: 4079

Re: About to invest in emerging markets

I haven't bought into an EM ETF yet but was thinking of Comsgage EM which has a TER of 0.25%. I believe it is a synthetic fund.
I haven't heard of a Comsgage fund, but a Comstage EM ETF exists.

Note that this Comstage ETF is an accumulating synthetic fund while the quoted SPDR ETF is an accumulating physical fund.
The taxation can be very different.
by hafius500
Sat Oct 17, 2015 6:50 pm
Forum: Investing - Theory, News & General
Topic: EMH, strong or semi-strong or weak form?
Replies: 49
Views: 12185

Re: EMH, strong or semi-strong or weak form?

... doesn't it just MAKE SENSE that investors who are trading stocks do NOT have perfect information? And the marginal buyer and seller can be trading based on reasons which are truly disconnected from fact and reality? i.e., emotion, or momentum, etc.? In an efficient market it is not required that the price-setting buyers and sellers possess 'perfect' information. Think of an exporting US company : Both analyst A and B possess imperfect information: The analyst A (who performs fundamental analysis) predicts that the company will be able to sell more units to foreigners. This analyst recommends to buy the stock. The analyst B (who predicts currencies) predicts that the USD will rise and he recommends to sell the stock. The market price wi...
by hafius500
Sun Oct 11, 2015 5:18 pm
Forum: Investing - Theory, News & General
Topic: Passive investing requires active investors
Replies: 13
Views: 1849

Re: Passive investing requires active investors

Everybody can't be a passive investor but you don't need market prices to calculate 'fair' values. Mergers and takeovers generate signals of 'fair' values. Furthermore, it may be too simplististic to argue that 'passive investing' does not contribute to finding 'fair' market prices. This article argues that index funds or ETFs aren't passive but contribute to setting efficient prices: Arbitrage works if the 'value' of an index fund or an ETF derviates from the Net Asset Value. Pragmatic Capitalism - What If Everyone Indexed?, 10-05-15 The kicker here is that index funds really aren’t passive at all....An index fund is not really an “index”. They are portfolios managed every day trying to track an index. .... So, while there doesn’t appear t...
by hafius500
Wed Oct 07, 2015 1:05 pm
Forum: Investing - Theory, News & General
Topic: International Funds Worth it?
Replies: 52
Views: 11502

Re: International Funds Worth it?

Vanguard Blog - Anytime is the right time to have international exposure in your portfolio, Chuck Riley October 6, 2015 this new article advocates investing in international stocks and bonds: The primary reason to invest internationally? Diversification. ... Non-U.S. bonds can also diversify an all-U.S. portfolio. Many investors don’t realize that the non-U.S. bond market is currently the largest asset class in the world. Including foreign bonds in your mix places your financial eggs in thousands of baskets, spreading out and reducing a portfolio’s overall risk. ... Not to say that the returns of international stocks and bonds are entirely uncorrelated with their U.S. counterparts. International and U.S. securities may both go up or down i...
by hafius500
Wed Oct 07, 2015 5:46 am
Forum: Non-US Investing
Topic: Buying Bond ETFs in Europe
Replies: 31
Views: 4588

Re: Buying Bond ETFs in Europe

Transaction costs of db x-trackers: You can find some information about "transaction costs" in the prospectus or in the latest report or on the website. See "ETF Knowledge -> ETF Background Knowledge : expected tracking difference = TER + OTC swap transaction costs - "improvement" This data should be found on the website of the ETF ("key data"). At this moment I see that some synthetic ETFs don't have "swap costs", others have them. I wouldn't invest a large slice of my portfolio in a synthetic fund. IMO it's too intransparent and too complicated. WRGT to inflation-linked bonds: If I read the factsheet correctly, the db x-trackers iBoxx Global Inflation-Linked ETF has a "Yield to Maturity (n...
by hafius500
Mon Oct 05, 2015 5:52 am
Forum: Non-US Investing
Topic: Buying Bond ETFs in Europe
Replies: 31
Views: 4588

Re: Buying Bond ETFs in Europe

Thanks for the great replies. One thing I'd like to clarify is that I am looking for a bond fund not to balance risk in the portfolio but to get diversification. My ideal ETF would just hold the full market portfolio (bonds, equities, real estate, etc from across the world) and I'd have no need to synthesize it from multiple ETFs. Failing that I'd rather much have an ETF that has a reasonably broad mix like the Vanguard target retirement funds. Since none of those are really an option for me I've been looking for a simple setup of equities+bonds. Given this I'd say my best options are: Corporate Bonds iShares Global Corporate Bond UCITS ETF (0.20% semi-annual distribution) iShares Global Corporate Bond EUR Hedged UCITS ETF (0.25% semi-annu...
by hafius500
Sat Oct 03, 2015 3:28 pm
Forum: Investing - Theory, News & General
Topic: You won't get to the Promised Land by investing in stocks
Replies: 139
Views: 17378

Re: You won't get to the Promised Land by investing in stocks

Maynard F. Speer wrote:but of course ultra-small businesses can double net assets every few months .. A huge advantage a small business has .. You don't get that investing in Unilever...
IMO. to make your argument stronger, you'd better selected a lower hurdle: the index.

Can't profits grow without growth in net assets?

Morningstar UK: 1988-2015, in GBP, price index

+ ca. 800 % Unilever plc
+ ca. 220 % FTSE 100

"Finsbury Edinburgh 2014 consumer stock returns 1993-2013.pdf":

"20 Year Total Return Performance:
Unilever x7,9
FTSE Index x3,7

1993 dividend 13,9 p
2013 dividend 91,1p
Growth 9,9% p.a."
by hafius500
Thu Oct 01, 2015 3:20 am
Forum: Non-US Investing
Topic: Buying Bond ETFs in Europe
Replies: 31
Views: 4588

Re: Buying Bond ETFs in Europe

I agree with Valuethinker and would like to add that IMO no Euro bond is free from default or currency risk even for Euro investors. The Bogleheads investment philosophy starts with a conclusion and then composes a narrative that defends this conclusion: "A government bond is safe because it is a government bond. Therefore, a PIGS/ Russian/ Argentinian investor should invest in PIGS/ Russian/ Argentinian government bonds for safety and this investor shouldn't invest more than 20% of the equity portfolio in the EAFE ("International") country". Similarly, arguments about volatility presuppose that the future dispersion of risks and returns will not be different. OTOH, you diversify, because you assume that this dispersion ...
by hafius500
Sat Sep 19, 2015 3:40 pm
Forum: Personal Finance (Not Investing)
Topic: Other Blogs/Forums read by Bogleheads
Replies: 33
Views: 4536

Re: Other Blogs/Forums read by Bogleheads

I'd add:
- http://www.abnormalreturns.com
It offers a daily collection of blog posts, newspaper articles, and financial research papers.

- http://www.jasonzweig.com/
by hafius500
Wed Sep 16, 2015 1:19 pm
Forum: Investing - Theory, News & General
Topic: Yale collects Interest on Dutch Bond from 1648
Replies: 15
Views: 3061

Re: Yale collects Interest on Dutch Bond from 1648

alex_686 wrote:
dkturner wrote:If a coupon bond Yale has to deliver a coupon to the issuer. Sounds like the boyz at Yale got a tip that their bond was still a live one.
It's not a coupon bond. The image from the article did not have any attached coupons. Besides, it is a perpetual bonds. That would mean a infinite number of coupons would have to be attached.
If I recall correctly, the interest is paid to the person who presents the bond to the issuer.
Google doesn't allow me to read the page I quoted a second time.
by hafius500
Wed Sep 16, 2015 1:05 pm
Forum: Investing - Theory, News & General
Topic: Yale collects Interest on Dutch Bond from 1648
Replies: 15
Views: 3061

Re: Yale collects Interest on Dutch Bond from 1648

I'm not sure if it is a junk bond or if it has been a junk bond in the past: Google "bond Hoogheemraadschap De Stichtse Rijnlanden" Link to books.google.com: Goetzmann/ Louwenhorst - The Origins of Value: The Financial Innovations that Created Modern Capital Page 178: Water board bonds issued during the seventeenth century were generally ... signed by the cameraer ... some were not ... redeemable... The 5 percent manuscript bond, issued on May 15, 1648 was owed to Mr. ... , his heirs, or ... , indicating that the obligation was transferable... ... Thus, the water board security appears to have been regarded by buyers as equivalent in risk to the national debt. The interest rate was reduced to 3,5 % in 1700 and to 2,5 % p.a. later....
by hafius500
Sun Aug 23, 2015 2:46 pm
Forum: Investing - Theory, News & General
Topic: Shiller PE10 nearing nosebleed territory?
Replies: 322
Views: 47564

Re: Shiller PE10 nearing nosebleed territory?

This is a top-down approach. You first select the markets (countries). I'm quite sure that many managers of global funds adopt similar strategies. It's just the case US investors are not accustomed to invest in global funds. In another post I quoted Keppler Assoiates, NY which manages global funds for Non-US investors (see the two 'Global Advantage Funds'). Strategy: Much of our work concerns country selection models. Our research has shown that over 3- to 5-year periods national equity markets tend to oscillate around equilibrium value levels. These values can be determined approximately through in-depth analyses of the underlying fundamentals. By entering markets when they sell at a discount to their intrinsic value and exiting them when...
by hafius500
Sun Aug 23, 2015 1:15 pm
Forum: Investing - Theory, News & General
Topic: Are any US-only investors having 2nd thoughts?
Replies: 123
Views: 23974

Re: Are any US-only investors having 2nd thoughts?

I don't consider owning the entire domestic market and its thousands of stocks to be "one basket". Perhaps many baskets, but in the same barn? Depends on what you are looking at. That one basic has all the same currency and soveign risk (guess what those apply to the US as much as they do to lets say Germany) so in that sense they are one big basic. Obviously other risks are not as shared. There's no currency risk for U.S. investors when investing dollars (assuming they live in the U.S. and pay for things with dollars). There is inflation risk, but not currency risk. And sovereign risk for the U.S. is definitely one of the lowest in the world. US bonds don't carry currency risk. US stocks do, to the extent the companies listed in...
by hafius500
Sun Aug 23, 2015 7:25 am
Forum: Investing - Theory, News & General
Topic: Shiller PE10 nearing nosebleed territory?
Replies: 322
Views: 47564

Re: Shiller PE10 nearing nosebleed territory?

Or they'd just bought-and-held cheap regions instead of expensive ones? http://i.dailymail.co.uk/i/pix/2014/09/01/article-2738966-20E9975B00000578-17_634x374.jpg Yes ... Quite tragic really ... Do you know if there were any financial instruments available which followed the global CAPE as shown during the chart's time period? Or is it one which would have required a Do-It-Yourself approach? One would think that if a fund was available which actually captured those returns displayed in the graph, it would be touted to no end on the internet and other forms of media. That hasn't been the case in everything I've seen though. Also it worked exceedingly well from the late 90's to late 00's, but in the timeframe I have invested (starting in 2007...
by hafius500
Sun Aug 23, 2015 6:24 am
Forum: Investing - Theory, News & General
Topic: Are any US-only investors having 2nd thoughts?
Replies: 123
Views: 23974

Re: Are any US-only investors having 2nd thoughts?

Total Returns YTD: Total Stock: -2.27% Total International Stock: -4.01% International is now lower than when I lump summed all of my cash into it in December 2012. What a farce. For example, over the last twelve months UK and euro investors would have profited from international diversification. Do you want to argue that this data predicts that in contrast to US investors UK and Euro investors will continue to profit from international diversification ? If so, some long/short trades might offer good returns. If not, why is the other side (i.e., the 'international' investor) always ignored here ? Morningstar, total returns, as of 8/21/15 iShares MSCI World (IWDA) in GBP: (-2,77%) YTD 3,22 % one year iShares FTSE100 (CUKX) in GBP: (-1,57%) ...
by hafius500
Sun Aug 23, 2015 5:34 am
Forum: Investing - Theory, News & General
Topic: Good argument for underweighting international stocks?
Replies: 77
Views: 8054

Re: Good argument for underweighting international stocks?

It is said that a passive investor copies the average (representative) investor. This investor does not rely on back-testing to set prices. Instead, estimated risks and returns are calculated. That's what Bogle did. He believes non-US markets are riskier and I assume he also believes they have no higher expected returns. But how do investors calculate expected returns of foreign assets? Professor Aswath Damodaran recently published a series of four articles 'On Valuing Country Risk': Groundhog day in Greece, Hijinks in Brazil and Market Chaos in China: Pictures of Global Risk - Part I Conclusion It is a cliché to state that the world is full of risk and that risk exposure varies across countries and time, but it is critical that investors a...
by hafius500
Fri Aug 21, 2015 4:37 pm
Forum: Investing - Theory, News & General
Topic: How many here follow Bogle's "no international" theory?
Replies: 757
Views: 60092

Re: How many here follow Bogle's "no international" theory?

saurabh wrote:It is not at all clear to me that owners of German, French, Italian and Spanish equities are going to do better than American.
IIRC, the majority of all German stocks are owned by foreigners, with the largest group of foreign investors being US investors.

Maybe these investors did not invest to earn total returns. I don't know.
by hafius500
Fri Aug 21, 2015 1:39 pm
Forum: Investing - Theory, News & General
Topic: Piling into emerging markets
Replies: 67
Views: 11104

Re: Piling into emerging markets

It seems I'm the only one who adds EM stocks and EM (LC) bonds (target: 10% of the bond/cash portfolio)
by hafius500
Wed Aug 19, 2015 2:44 pm
Forum: Investing - Theory, News & General
Topic: Good argument for underweighting international stocks?
Replies: 77
Views: 8054

Re: Good argument for underweighting international stocks?

To be clear, I am not arguing it is optimal to NOT have a substantial allocation to international. Just wondering if it is optimal to dial back from the cap-weight of 48% to say 40% in light of very real currency risk and costs. Just to be clear, I am not basing my argument on news or recent returns. It is based purely on the inherent and indisputable nature of both currency risk and higher fees. rca, I have participated in recent threads and seen your comments on making big bets on SCV tilting based on historical analysis. Just like with SCV, if you look at the data on international allocation you can draw almost any conclusion you want depending on period chosen. However, based on what I've read from VG and others I think that anything i...
by hafius500
Tue Aug 18, 2015 2:31 pm
Forum: Investing - Theory, News & General
Topic: Should you own foreign stocks?
Replies: 67
Views: 7538

Re: Should you own foreign stocks?

The benefit of diversification by adding international equities to the 3000+ stocks one gets in TSM really comes down to correlation. The long term trend is that international is becoming increasingly well correlated to US equities. Any benefit that existed in the past is diminishing. The following chart shows the trend in correlation over the last century. http://i1373.photobucket.com/albums/ag361/2x4/International-Equity-Correlations_zpsz1fhi9sg.png Source And I don't need to look at cross-correlation numbers to tell me what my eye is already saying: In 2008/9 VTIAX crashed just as hard as VTSAX did, so where is the diversification benefit? http://i1373.photobucket.com/albums/ag361/2x4/VTSAX-VTIAX_zpscor6iq0m.png And Euro or UK investors...
by hafius500
Thu Aug 13, 2015 1:29 pm
Forum: Investing - Theory, News & General
Topic: Money Mag:Why Vanguard Founder Jack Bogle Doesn’t Like Investing in Foreign Markets
Replies: 64
Views: 10632

Re: Money Mag:Why Vanguard Founder Jack Bogle Doesn’t Like Investing in Foreign Markets

John Bogle's arguments strongly differ from those of Vanguard. The Vanguard paper which is often quoted on this forum selected one data base and one period, performed a back-testing and concluded that this data-mined 'optimal' portfolio will predict the future. John Bogle, however, performs a classic fundamental stock analysis: the turmoil in the UK, Japanese demographics, the disinclination of the French to work... Every active manager could make these arguments and indeed many make them. If Bogle gave 'sensible investment advice' in the sense of William Sharpe, all non-US investors would prefer to invest in the USA. But for every non-US investor who buys a US security (I think he wouldn't recommend foreign bonds, either), there must be an...
by hafius500
Sat Aug 08, 2015 4:09 pm
Forum: Investing - Theory, News & General
Topic: Interest rate forecasts are garbage and best ignored
Replies: 20
Views: 3541

Re: Interest rate forecasts are garbage and best ignored

Every place you see hair sticking out from the main line is a place where the market predictions were wrong, and the best summary is "almost everywhere." The market doesn't know, either.
If the market was efficient, it would make the 'best' prediction. It would not be less informed than the representantive investor.
by hafius500
Sat Aug 08, 2015 2:04 pm
Forum: Investing - Theory, News & General
Topic: So do the uber wealthy invest money the same way we do?
Replies: 95
Views: 15018

Re: So do the uber wealthy invest money the same way we do?

UBS - Global Ultra Wealthy Population Reaches Record High of 211,275 Individuals with Combined Net Worth of Nearly US$30 Trillion, Hong Kong/Zurich, 19 Nov 2014 The Wealth-X and UBS World Ultra Wealth Report 2014, released today, shows that... ... The report finds that UHNW individuals have over two thirds of their wealth in their core businesses. We believe that this could expose UHNW individuals to many unintended risks and so we have been helping them address these concentration biases.... Maybe the quoted report has more information on how these people invest. I haven't read it. You can find a link to this report at the bottom of this article or here: Wikipedia - Ultra High Net Worth Individuals Another review of this report states tha...
by hafius500
Sat Jul 25, 2015 4:01 pm
Forum: Investing - Theory, News & General
Topic: Are Stocks Overvalued? A Survey of Equity Valuation Models
Replies: 253
Views: 25656

Re: Are Stocks Overvalued? A Survey of Equity Valuation Models

According to the new vocabulary, we're all "active" investors, because nobody can invest in the global portfolio of all assets*. No. The [global] cap-weighted portfolio of investable assets is the one and only passive portfolio. That's just elementary theory. OTOH, it has become a marketing strategy to sell active strategies as 'passive investing'. Vanguard (USA) is not innocent. In fact, it always has been possible to invest in the passive portfolio. This is obvious because the passive portfolio is the portfolio of investable assets There are institutional or private investors who hold portfolios that approximate the passive portfolio: Asset Allocation of the Norwegian Government Pension Fund Global: 60 % Global equities 35-40 %...
by hafius500
Sat Jul 11, 2015 2:23 pm
Forum: Investing - Theory, News & General
Topic: "Vanguard's recommended international allocation."
Replies: 63
Views: 12644

Re: "Vanguard's recommended international allocation."

An article pubished on 07/09/15 quotes a study performed by a bank. It is not mentioned if the returns are total returns or if they are returns in local currencies or in a single domestic currency. But this may not matter if the argument is that the historic returns were very different. A popular view on this board is that you don't need foreign stocks because all markets have similar returns in the long run. Average annual returns (p.a.) of MSCI Country Indices over the last 20 years: 01. 12,59 % Denmark 02. 11,09 % Sweden 03. 10,46 % Canada 04. 10,26 % Spain 05. 9,68 % Switzerland 06. 9,57 % USA 07. 9,06 % Australia 08. 8,19 % Hongkong 09. 7,56 % Netherlands 10. 7,44 % UK 11. 7,42 % Germany 12. 7,31 % Norway 13. 7,15 % France 14. 6,80 % B...
by hafius500
Fri Jul 10, 2015 2:12 pm
Forum: Investing - Theory, News & General
Topic: If you don't care about volatility, are long-term bonds better than total bond?
Replies: 66
Views: 11063

Re: If you don't care about volatility, are long-term bonds better than total bond?

GMO Quarterly Letter 1 Q 2015 - Ben Imker - Breaking Out Of Bonadage At current yields, the utility of long-term government bonds in most investment portfolios is questionable at best. To our minds, any investors who are not required to own longterm government bonds in their portfolios should warmly consider getting rid of them... ...So the odds that investors are buying 30-year bonds because they have a higher expected return than rolling shorter-term bonds seems pretty unlikely. Now, how about the first scenario – that investors own the bonds because of their exceptional hedging properties?... ...Admittedly, it is a tough ask to an investment committee to replace their holdings in “safe” long-term government bonds with a short in those s...
by hafius500
Sat Jun 20, 2015 1:02 pm
Forum: Non-US Investing
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 87
Views: 29466

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

I'm not sure if an (many) investor(s) in mutual funds or ETFs that are domiciled in Europe can create a lasting 'factor-tilted' portfolio. IIRC in contrast to the USA size- or style-oriented active or index funds have played a less meaningful or a neglectable role in most European countries (UK investor have had small-cap and income funds) The ETF offerings are not different although in Europe ETFs are mainly traded by institutional investors who presumably know everything about 'factor premiums'. IIRC, after the crash of growth-stocks after 2000 a couple of RAFI ETFs were launched (and I believe the ETFs that track value indexes were launched later). Despite this advantage, the RAFI funds never collected any meaningful assets and most (?) ...
by hafius500
Fri Jun 19, 2015 1:57 pm
Forum: Non-US Investing
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 87
Views: 29466

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

I just found out that my broker has 0.5% currency conversion fee when buying securities listed in currencies other than USD. For specific reasons, I wanna stick with this broker. This would mean additional 1% cost when buying and selling these funds: SMC - SPDR® MSCI Europe Small Cap UCITS ETF (INTERNATIONAL SMALL BLEND) IDJV - iShares EURO Total Market Value Large UCITS ETF (INTERNATIONAL LARGE VALUE) So I'm thinking about ditching them and getting all Value and Small cap from VBR - Vanguard Small-Cap Value ETF . So the equity part of the portfolio would look like: 10% CSSPX:xswx - iShares Core S&P 500 UCITS ETF 30% VBR - Vanguard Small-Cap Value ETF 25% Developed Europe - Didn't find any USD listed Ireland domiciled Europe ETF, do yo...
by hafius500
Thu Jun 18, 2015 5:00 am
Forum: Non-US Investing
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 87
Views: 29466

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

2. SMALL US VALUE - I didn't find a non-US domiciled fund, so the US domiciled one seems to be the only option: VBR - Vanguard Small-Cap Value ETF - TER 0.09% + ~0.30%* = 0.39% * the 0.3% is an additional "withholding tax drag" for me (15% extra withdolding tax out of average 2% dividend) If you know any 'Small US Value' funds NOT domiciled in the US, please let me know. If you are NOT a US person (US citizen, US permanent resident), then you should completely avoid US-domiciled ETFs & funds. If a non-US citizen / non-US person invests in US-domiciled funds & ETFs, then if they die, the US government will impose a brutal estate tax, up to 40% on amounts over $60,000. https://www.bogleheads.org/forum/viewtopic.php?t=165478...
by hafius500
Thu Jun 18, 2015 4:23 am
Forum: Non-US Investing
Topic: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio
Replies: 87
Views: 29466

Re: NON-US (Ireland) ETFs - Simplified Ultimate Buy and Hold Porfolio

Re accumulating versus distributing shares and registered versus unregistered funds: IMO posters should resist to recommend one of these classes because it could be a bad choice in other countries. Why do I see advisors who avoid accumulating shares ? IIRC the Wiki article mentions the withholding and estate taxes but it does not mention the personal annual income tax. The point is investors in offshore accumulating funds might pay higher income taxes: SPDR ETFs Tax Reference Guide 2013 [link format fixed by admin LadyGeek] This guide explains how distributing and accumulating (offshore) funds are taxed in Austria, France, Germany, Ireland, Italy, Luxemburg, Netherlands, Switzerland. and in the UK in 2013. Furthermore, it explains how inves...
by hafius500
Mon Jun 15, 2015 1:34 pm
Forum: Investing - Theory, News & General
Topic: Merriman: Why bonds are the most important asset class
Replies: 10
Views: 4048

Re: Merriman: Why bonds are the most important asset class

Paul Merriman wrote: In the 45 calendar years from 1970 through 2014, the worst years for the diversified all-equity portfolio were 1974 (a loss of 22.6%) and 2008 (a loss of 41.7%). In 1974, bonds were up 6.5%. In 2008, they were up 7.1%. But why would a "rational" investor with a time horizon of more than one year care about one-year returns? Jim O'Shaughnessy (What Works On Wall Street) - Hey 54-year-old boomers, stocks are still the best thing to hold until you turn 65. Between 1926 and 2014, here are the average, inflation-adjusted gains for four asset classes: ... the worst 11-year returns for each of the four asset classes: *S&P 500: inflation-adjusted worst cumulative 11-year return is -36 percent, with $10,000 falling...
by hafius500
Fri Jun 05, 2015 2:58 pm
Forum: Investing - Theory, News & General
Topic: Its not data mining - not even close
Replies: 11
Views: 3656

Re: Its not data mining - not even close

AQR wrote: Our most potent weapon in addressing data mining is the out-of-sample test. Price Action Lab Blog - Five Myths About Data-Mining Bias, Posted on May 29, 2015 Myth No. 2: Out-of-sample testing can deal with data-mining bias Out-of-sample tests are part of an overall algo development process that is plagued by data-mining bias. Therefore, they cannot be used to deal with it. If many hypotheses are tested on historical data, some of them will pass out-of-sample tests by chance alone. Therefore, out-of-sample testing does not suffice to guarantee that an algo is genuine and not random. In addition, it is false to call out-of-sample testing a “cross-validation” method. This type of testing is only a validation method that cannot deal ...
by hafius500
Mon Apr 13, 2015 12:50 pm
Forum: Personal Investments
Topic: Need advice - Invest in Small Cap?
Replies: 6
Views: 1975

Re: Need advice - Invest in Small Cap?

Prof. Aswath Damodaran - The Small Cap Premium: Where Is The Beef?, Apr. 12, 2015 Summary - For decades, analysts and investors have bought into the idea of a small cap premium, i.e., that stocks with low market capitalizations can be expected to earn higher returns than stocks with higher market capitalizations. - The small cap premium is a testimonial to the power of inertia in corporate finance and valuation, where once a practice becomes established, it becomes difficult to challenge, even if the original reasons for it have long since disappeared. - If you are following a strategy of buying small cap stocks, expecting to be rewarded with a premium for just doing that, you will be disappointed. Damodaran reviews the literature and he a...
by hafius500
Mon Apr 13, 2015 11:55 am
Forum: Personal Investments
Topic: Need advice - Invest in Small Cap?
Replies: 6
Views: 1975

Re: Need advice - Invest in Small Cap?

Prof. Aswath Damodaran - The Small Cap Premium: Where Is The Beef?, Apr. 12, 2015 Summary - For decades, analysts and investors have bought into the idea of a small cap premium, i.e., that stocks with low market capitalizations can be expected to earn higher returns than stocks with higher market capitalizations. - The small cap premium is a testimonial to the power of inertia in corporate finance and valuation, where once a practice becomes established, it becomes difficult to challenge, even if the original reasons for it have long since disappeared. - If you are following a strategy of buying small cap stocks, expecting to be rewarded with a premium for just doing that, you will be disappointed. Damodaran reviews the literature and he a...
by hafius500
Tue Jan 27, 2015 2:00 pm
Forum: Investing - Theory, News & General
Topic: Asness - The Small-Firm Effect Is Real, and It’s Spectacular
Replies: 62
Views: 10953

Re: Asness - The Small-Firm Effect Is Real, and It’s Spectac

Oh, and while I won't address a specific product in depth (I get yelled at for that!), some of the turnover numbers above seem very odd and way too large. They are affected by inflows, especially when the funds are smaller, and how a fund like ours equitizes inflows - they are not regular, steady state turnover in the normal sense. Nobody would deny (and our papers, as cited above by others, show) that giving momentum a bigger role will raise turnover, but we don't think it's close to as much as quoted above (and, obviously, we believe it will raise net returns, not just gross returns, over the long-term). Did I just learn that I don't know something I thought I knew? I assumed "turnover" is independent of inflows and outflows. N...
by hafius500
Sat Jan 24, 2015 4:05 pm
Forum: Investing - Theory, News & General
Topic: Factors and zero-sum investing
Replies: 58
Views: 6380

Re: Factors and zero-sum investing

... The words themselves, "zero sum", make it seem like one person is winning and another person is losing, when that's not necessarily the case. If I choose to hold value, because I am more comfortable with holding value, and you choose to hold growth, then growth does better than value over our holding periods but value still gives me a return, there is this human desire to say that I was less intelligent for not holding the higher returning asset and that you benefitted in a way from my bad judgement. But we both had a return. We both hit our objectives. Tim Speculating (i.e., investing in non-market weighted portfolios) is always a zero-sum game even if you postulate different "tastes" or objectives: CFA Institute -...
by hafius500
Tue Jan 13, 2015 12:16 pm
Forum: Personal Investments
Topic: STOXX® Europe 600 - Capitalization Question
Replies: 6
Views: 1816

Re: STOXX® Europe 600 - Capitalization Question

The Stoxx200 large-cap Index, the Stoxx200 mid-cap Index and the Stoxx200 small-cap Index are "derived" from the Stoxx600 Index.
I think this means the Stoxx600 Index comprises 200 large-, 200 mid- and 200 small-sized companies.

Morningstar boxes are misleading here because they are defined completeley different.
by hafius500
Sat Dec 27, 2014 2:46 pm
Forum: Investing - Theory, News & General
Topic: Research Affiliates article on size premium
Replies: 42
Views: 6335

Re: Research Affiliates article on size premium

I think you can distill it down to your beliefs in the Efficient Market Hypothesis. If the EMH is true, the only way anyone earns excess returns is by loading up on risk (however they want to measure risk these days), and hoping the risk doesn't actually show up. If instead it's more nuanced, with elements of competitive skill and information, with behavioral factors and potential for swings in sentiment, with fads and bubbles, then I think one needs to be a bit more cautious about their approach and reluctant to except anything that would seem to promise an easy path to "above average" results. But does the EMH really claim that a higher expected return is the reward for taking higher 'risks'? Does the EMH rest upon a specific a...
by hafius500
Fri Nov 21, 2014 2:51 pm
Forum: Investing - Theory, News & General
Topic: Diversification among Bonds?
Replies: 32
Views: 5680

Re: Diversification among Bonds?

ogd wrote:a "Really Total Bond Market" doesn't exist because it's not really needed.
It is needed because it is the o n l y benchmark for (active and passive) investors.
It exists because it is (approximately) investable. Lots of active or passive funds invest in global portfolios of government bonds, corporate bonds, high-yield bonds or emerging-market bonds. You can combine these funds to (approximately) track the Total Bond Market.
by hafius500
Sat Nov 15, 2014 3:59 pm
Forum: Personal Investments
Topic: 30% In International Stocks?
Replies: 59
Views: 12032

Re: 30% In International Stocks?

nisiprius wrote:I got confused...In the absence of currency volatility (according to textbook theory, which makes assumptions which can be challenged but we won't), the optimum would be cap-weighted.
No, according to the textbook theory that I quoted in my last posts this is false.

IOW, your decision to overweight or underweight foreign assets is always the decision of an active investor.
You trade against investors who overweight or underweight domestic assets.
The passive investor holds the portfolio of investable assets.
by hafius500
Sat Nov 15, 2014 11:26 am
Forum: Personal Investments
Topic: 30% In International Stocks?
Replies: 59
Views: 12032

Re: 30% In International Stocks?

One way to look at this: Millions of investors world-wide have already determined that US and International equities warrant a roughly 50/50 split. Given the perceived advantages of index/market weight investing, why would an individual investor want to deviate from global weightings? Exactly. If market cap indexing works for US stocks, why would it not be the same system for an investor globally? Because of currency risk, which, for a U.S. investor, exists for international stocks and not for U.S. stocks. If we had a single global currency, it would be the same, but we don't, so it isn't. It's possible to argue about the effect and the importance of currency risk, but it's there and it means that the argument for cap-weighting domestic st...